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Journal Articles Energy Year : 2018

Testing for wavelet based time-frequency relationship between oil prices and US economic activity

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Syed Ali Raza
  • Function : Author
Muhammad Shahbaz
Rafi Amir-Ud-Din
  • Function : Author
Nida Shah
  • Function : Author

Abstract

This study investigates the empirical association of oil prices with economic activity in developed open economy namely: The United States by using the wavelet transform framework. This methodology enables the decomposition of time-series at different time-frequencies. In this study, we have used maximal overlap discrete wavelet transform, wavelet covariance, wavelet correlation, continuous wavelet power spectrum, wavelet coherence spectrum and wavelet based Granger causality approaches to analyze the relationship between oil prices and economic activity. The present study uses month frequency data for the period of 1979M1-2013M7. The results indicate that oil prices have positive impact on economic activity and the feedback effect exists between oil prices and economic activity.
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hal-01982294 , version 1 (15-01-2019)

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Syed Ali Raza, Muhammad Shahbaz, Rafi Amir-Ud-Din, Rashid Sbia, Nida Shah. Testing for wavelet based time-frequency relationship between oil prices and US economic activity. Energy, 2018, 154, pp.571-580. ⟨10.1016/j.energy.2018.02.037⟩. ⟨hal-01982294⟩
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